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Clustering and regression analysis of micro panel data
Sobíšek, Lukáš ; Pecáková, Iva (advisor) ; Komárek, Arnošt (referee) ; Brabec, Marek (referee)
The main purpose of panel studies is to analyze changes in values of studied variables over time. In micro panel research, a large number of elements are periodically observed within the relatively short time period of just a few years. Moreover, the number of repeated measurements is small. This dissertation deals with contemporary approaches to the regression and the clustering analysis of micro panel data. One of the approaches to the micro panel analysis is to use multivariate statistical models originally designed for crosssectional data and modify them in order to take into account the within-subject correlation. The thesis summarizes available tools for the regression analysis of micro panel data. The known and currently used linear mixed effects models for a normally distributed dependent variable are recapitulated. Besides that, new approaches for analysis of a response variable with other than normal distribution are presented. These approaches include the generalized marginal linear model, the generalized linear mixed effects model and the Bayesian modelling approach. In addition to describing the aforementioned models, the paper also includes a brief overview of their implementation in the R software. The difficulty with the regression models adjusted for micro panel data is the ambiguity of their parameters estimation. This thesis proposes a way to improve the estimations through the cluster analysis. For this reason, the thesis also contains a description of methods of the cluster analysis of micro panel data. Because supply of the methods is limited, the main goal of this paper is to devise its own two-step approach for clustering micro panel data. In the first step, the panel data are transformed into a static form using a set of proposed characteristics of dynamics. These characteristics represent different features of time course of the observed variables. In the second step, the elements are clustered by conventional spatial clustering techniques (agglomerative clustering and the C-means partitioning). The clustering is based on a dissimilarity matrix of the values of clustering variables calculated in the first step. Another goal of this paper is to find out whether the suggested procedure leads to an improvement in quality of the regression models for this type of data. By means of a simulation study, the procedure drafted herein is compared to the procedure applied in the kml package of the R software, as well as to the clustering characteristics proposed by Urso (2004). The simulation study demonstrated better results of the proposed combination of clustering variables as compared to the other combinations currently used. A corresponding script written in the R-language represents another benefit of this paper. It is available on the attached CD and it can be used for analyses of readers own micro panel data.
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Use of Interest Rate Models for Interest Rate Risk Management in the Czech Financial Market Environment
Cíchová Králová, Dana ; Arlt, Josef (advisor) ; Cipra, Tomáš (referee) ; Witzany, Jiří (referee)
The main goal of this thesis is to suggest an appropriate approach to interest rate risk modeling in the Czech financial market environment in various situations. Three distinct periods are analyzed. These periods, which are the period before the global financial crisis, period during the financial crisis and in the aftermath of the global financial crisis and calming subsequent debt crisis in the eurozone, are characterized by different evaluation of liquidity and credit risk, different relationship between financial variables and market participants and different degree of market regulations. Within this goal, an application of the BGM model in the Czech financial market environment is crucial. Use of the BGM model for the purpose of predicting a dynamics of a yield curve is not very common. This is firstly due to the fact that primary use of this model is a valuation of interest rate derivatives while ensuring the absence of arbitrage and secondly its application is relatively difficult. Nevertheless, I apply the BGM model to obtain predictions of the probability distributions of interest rates in the Czech and eurozone market environment, because its complexity, direct modeling of a yield curve based on market rates and especially a possibility of parameter estimation based on current swaptions volatilities quotations may lead to a significant improvement of predictions. This improvement was also confirmed in this thesis. Use of swaptions volatilities market quotations is especially useful in the period of unprecedented mone- tary easing and increased number of central banks and other regulators interventions into financial markets that occur after the financial crisis, because it reflects current market expectations which also include future interventions. As a consequence of underdevelopment of the Czech financial market there are no market quotations of Czech koruna denominated swaptions volatilities. I suggest their approximations based on quotations of euro denominated swaptions volatilities and also using volatilities of koruna and euro forward rates. Use of this approach ensures that predictions of the Czech yield curve dynamics contain current market expectations. To my knowledge, any other author has not presented similar application of the BGM model in the Czech financial market environment. In this thesis I further predict a Czech and Euro area money market yield curve dynamics using the CIR and the GP models as representatives of various types of interest rates models to compare these predictions with BGM predictions. I suggest a comprehensive system of three criteria, based on comparison of predicti- ons with reality, to describe a predictive power of selected models and an appropria- teness of their use in the Czech market environment during different situations in the market. This analysis shows that predictions of the Czech money market yield curve dynamics based on the BGM model demonstrate high predictive power and the best 8 quality in comparison with other models. GP model also produces relatively good qua- lity predictions. Conversely, predictions based on the CIR model as a representative of short rate model family completely failed when describing reality. In a situation when the economy allows negative rates and there is simultaneously a significant likelihood of their implementation, I recommend to obtain predictions of Czech money market yield curve dynamics using GP model which allows existence of negative interest rates. This analysis also contains a statistical test for validating the predictive power of each model and information on other tests. Berkowitz test rejects a hypothesis of accurate predictions for each model. However, this fact is common in real data testing even when using relatively good model. This fact is especially caused by difficult fulfilment of test conditions in real world. To my knowledge, such an analysis of the predictive power of selected interest rate models moreover in the Czech financial market environment has not been published yet. The last goal of this thesis is to suggest an appropriate approach to obtaining pre- dictions of Czech government bonds risk premium dynamics. I define this risk premium as a difference between government bond yields and fixed rate of CZK IRS with the same length. I apply the GP model to describe the dynamics of this indicator of the Czech Republic credit risk. In order to obtain a time series of the risk premium which are necessary for estimation of GP model parameters I firstly estimate yield curves of Czech government bonds using Svensson model for each trading day since 2005. Resulting si- mulations of risk premium show that the GP model predicts the real development of risk premiums of all maturities relatively well. Hence, the proposed approach is suitable for modeling of Czech Republic credit risk based on the use of information extracted from financial markets. I have not registered proposed approach to risk premium modeling moreover in the Czech financial market environment in other publications.
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Comparison of Business Intelligence implementation using open source solutions for middle size companies
Schmidt, Róbert ; Maryška, Miloš (advisor) ; Sládek, Pavel (referee)
The main goal of master thesis is to analyze and propose possible low cost Business Intelligence solution with open source technologies and comparison of available tools for implementation in middle size company. We compare Pentaho and Jaspersoft tools implemented on local hardware and cloud environment with Microsoft Azure services. The theoretical part focuses mainly on understanding the business intelligence and its architecture, because architecture is an important part of the work. Actual tools are designed as stand alone modules for specific activities in the business intelligence lifecycle. Low cost tools are often connected with open source technologies and cloud computing. This part of the work contains explanation of these terms and their advantages and disadvantages for our chosen target group of companies. The analytical part includes defined parameters by which it is conducted analysis of tools and their comparison. Business Intelligence solutions are divided according to arcitectural layers. The evaluation criteria are divided into financial, technical and user category. In conclusion, chosen tools are compared and evaluated. The main contribution of this thesis is comparison of open source business intelligence tools for implementation in middle size company. According to the EU directive, middle size company does not exceed 250 employees or profit is less than 50 million euros. The reader can compare the different solutions and their pitfalls or shortcomings that could be critical for the implementation.
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INFLUENCE OF LASER CUTTING AND PUNCHING ON MAGNETIC PROPERTIES\nOF ELECTRICAL STEEL M470-50A
Bulín, Tomáš ; Švábenská, Eva ; Hapla, Miroslav ; Ondrůšek, Č. ; Schneeweiss, Oldřich
Electrical steel M470-50A belongs to the most often used materials in electrical machines. Due to this fact, it is desirable to know the magnetic parameters after processing raw sheets into the required shape. Basic parameters of mechanical, electrical, and magnetic properties of the sheets are usually obtained from the producer but the magnetic properties are changing in dependence on additional machining processes. The aim of this study is to describe changes in parameters of magnetic behavior after punching, laser and spark cutting of the original sheets. The basic information of structure was obtained by optical and scanning electron microscopy. The magnetic parameters were acquired from the measuring of magnetic hysteresis loops in dependence on saturation fields and frequencies. The results are discussed from the point of view of applied\ncutting technology with the aim to obtain the best magnetic parameters and consequently a higher efficiency of the final product. Results can be used as input parameters in simulation of the electrical machine.
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Arctic tundra dendrochronology
Lehejček, Jiří ; Svoboda, Miroslav (advisor) ; Monika, Monika (referee)
Historically unprecedented environmental change in the Arctic ecosystems is often given into the context of its past and possible future development. In the region where instrumental meteorological observations are scarce archives need to be investigated in order to address this issues. The comprehensive synthesis one of the archives: long-live circumpolar evergreen Juniperus communis L. shrub is presented here. 20 individuals from southwest Greenland were investigated at the cell anatomy level to understand the ecology of the species and unhide its potential for environmental and climate reconstructions. The findings are as follows:
i) Stop of exponential cross-sectional conduit-lumen widening with increasing age is in contrast with conduit-lumen nature of trees. This indicates that shrubs do not need to saturate their water and nutrient demands via traits of classical hydraulic conductivity law but rather developed different mechanisms. Extreme weather conditions result in prostrate growth form. However, different weather factors probably influence shrub growth differently: While snow and wind act mechanically (a), temperature influences the form of growth physiologically (b). a) So long as the young shrub stem has high resilience to bend back to an upright position after snow melt and so long as it can withstand the wind during the vegetation season it most likely grows upright and the conduit-lumens widen. b) Temperature, resp. freeze-thaw events are responsible for the shrubs preference of safety (finite size of conduit-lumens) over hydraulic efficiency, thus not allowing for more primary growth. All of these (and other) factors are apparently working together and the transition of vertical to more horizontal growth is gradual. As a consequence, the conduit-lumen sizes may not have to be further increased (due to ecophysiological restrictions possibly also must not) because water is no longer transported against gravity.
ii) Observed age/growth trend has to be taken into consideration for further employment of the wood anatomical parameter in paleoenvironmental studies. That is, shrub cell parameters can only be used for this purposes if correctly detrended. This allows for more accurate as well as longer reconstructions because youth trend was often neglected in reconstructions based on shrub annual-rings.
iii) The south-western Greenland Ice-Sheet (GrIS) melt rates reconstruction is presented for the whole 20th century. This part of GrIS is considered as the most active. According to the presented reconstruction current GrIS melt rates are not uncommon for the last century being comparable to first decades of 20th century. This finding is particularly important contribution to the debate on Atlantic meridional overturning circulation (AMOC). Too high fresh water inputs into the Northern Atlantic from GrIS melting may slow down or even stop the AMOC which would result in more continental climate in Europe. Presented results indicate that this threshold lies higher than observed current melt rates of GrIS.
Fascinating Juniperus comunnis species has shown to be able to address many ecological as well as environmental open questions and due to its longevity and abundant distribution has a great potential to become an important player in the Arctic research.
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Optical Measurement of Electromechanical Characteristics of Heart Cells
Čmiel, Vratislav ; Križanová,, Olga (referee) ; Babula, Petr (referee) ; Provazník, Ivo (advisor)
Dissertation is focused on the application of optical measurement methods using techniques of optical microscopy and fluorescence microscopy in measurements of electromechanical characteristics of isolated cardiac cells and clusters of differentiated cardiomyocytes. The first proposed method uses a practical combination of fluorescence microscopy equipped with fluorescent fast and high-resolution camera and atomic force microscopy for simultaneous measurement of calcium transients and contraction of cardiomyocyte clusters. The signals obtained undergoes filtration, processing and analysis. Result function parameters obtained by analyzing signals after application of caffeine are evaluated by comparison with functional parameters obtained during the control measurement. The second proposed method is applied to the cardiomyocyte clusters for the purpose of cardiomyocyte contraction signals measurement. The signals obtained by optical methods are analyzed and compared with the reference signal obtained using atomic force microscopy. Optical measurement method of cell contractins based on detection of cell ends using adjusting of microscopy images by re-sharpening and fluorescence method for cardiomyocyte contractions measurements were designed to increase realiability in simultaneous measurement of cell contractions simultaneously with calcium transients in isolated cardiomyocytes experiments.
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Parametric design in a Garden and Landscape architecture
Med, Jakub ; Vaněk, Jan (advisor) ; Jan, Jan (referee)
Diploma thesis explores use of parametric design method in the field of landscape and garden architecture. Parametric design is used as a tool. The aim is to find a method to use it in each phase of the design process, to reach effectivity and a new aesthetical approach.
Research of projects already published is the basis for further use. Design process is presented in the project part of the diploma thesis. Use of each parameter input is explained. Experimental forms and efficacy of design is the output result.
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Design and optimisation of log rounding process
Iamshchikov, Evgenii ; Trgala, Kamil (advisor) ; Ruman, Daniel (referee)
The subject of my thesis is Design and optimisation of log rounding process. The aim of the work is to develop and explain the changes of the cutting tool parameters of a machine for logs rounding; experimental substantiation for the change of the cutter angle related to the axis of the workpiece. This paper deals with all kinds of wooden housing, from houses of solid wood to houses made of wood-based materials. The description of positive and negative characteristics of each type, including why a house made of logs is essentially different, its positive and negative sides. The paper examines all kinds of the logs rounding technology; the characteristics of their quality and energy consumption are presented. The experimental part of the work consists in the experiment planning and identifying of the factors that influence the rounding process. The way the cutter angle influences the surface roughness during the cylindering process was studied. The final stage of the work was to evaluate the results of the work, their relevance and the possibility to introduce the new equipment with the changed parameters of the cutting tool into production.
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Hygienic safety of outdoor playgrounds with sandbox
Abertová, Jana ; Borůvka, Luboš (advisor) ; Anna, Anna (referee)
Playgrounds represent danger of a direct input of hazardous substances into children`s organism, that`s why they require a special attention. The diploma thesis deals with hygienic safety of outside playgrounds with sandpits in scope of valid legislation and medical risks, which might be caused by contamination.
The aim of the thesis is to assess the level of microbiological, parasitical and chemical contamination and hygienic safety of sand in outside playgrounds with sandpits in Hradec Kralove.
To check the contamination, samples of sand were taken in outside playgrounds with sandpits destined for children in Hradec Kralove. Safety parameters of taken samples were rated according to notice No. 238/2011 Coll., about setting of hygienic requirements for swimming pools, saunas and hygienic limits for sand in sandpits of outside playgrounds. The evaluation of samples was concentrated on microbiological, chemical and parasitical contamination of sandpits, which was analyzed by Medical Institute based in Usti nad Labem. The influence of position of playground within the town (city center vs. outskirts), time of collecting samples and age of each sandpit were judged.
The sandpits in Hradec Kralove in the years 2014 and 2015 were microbially contaminated over established limits only in one case. Parasitical or chemical contamination was not found in any case.
Next conclusion is that sandpits at end of season are contaminated by microorganisms about 18 % more often than at start of season and at the same time that sandpits in city center are contaminated about 14 % more frequently than in outskirts. New sandpits are often contaminated by thermotolerant coliform bacteria than old sandpits. From the point of view of chemical contamination, sandpits in city center are more contaminated by chemicals, however statistical difference is not significant. The discovered values of sand at start and end of season were misrepresented by addition of sand in sandpits in the course of main season.
Sandpits in Hradec Kralove had a high level of hygienic safety, which is determined in law No 258/2000 Coll., about protection of public health.
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